Global ETD Search
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Showing 1 to 6 of 6 for “"Generalized Pareto Distribution"”.
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Estudo das características estocásticas do roll paramétrico
… roll responses have been used for fitting the Generalized Extreme Value Distribution (GEVD) and the Generalized Pareto Distribution (GPD). Then, using the fitted GEVD, the return period and the time between events for roll motions have been computed for two wave conditions.
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The impact of estimation frequency on Value at Risk (VaR) and Expected Shortfall (ES) forecasts: an empirical study on conditional extreme value models
… market events which occur in the tails of a distribution. The extreme events occur with a very low probability, but with significant consequences, which is what makes them of interest. In this study 20 years of data from both the S&P 500 and the JSE All Share index have been used. An extreme …
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Essays in asset pricing and market imperfections
… estimated using the extreme value theory and the generalized Pareto distribution. We find that illiquidity in general has a negative impact on the tail risk of hedge funds' returns. In particular, the true Value-at-Risk (VaR) of hedge funds could be much higher when illiquidity is taken into …
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Analysis of flow patterns and flow mechanisms in soils
… depth. Therefore, the two-parametric probability distribution 1 – H, H being the generalised Pareto distribution, can be fitted to the dye coverage function. The form parameter of this distribution serves as a risk index for vertical solute propagation. We did tracer experiments with Brilliant …
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UNCERTAINTY QUANTIFICATION IN DOWNSCALING OF PRECIPITATION EXTREMES AND ITS APPLICATION TO NEW ENGLAND
… addressed: uncertainty arising from parametric distribution modeling for precipitation extremes and uncertainty due to the particular predictive model employed for estimation of their return levels. Both sources were examined and quantified using credibility intervals of downscaled 25-year …
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Avaliação de estimadores clássicos do parâmetro de cauda da distribuição de pareto generalizada usando delineamentos experimentais
… do Parâmetro de forma (ξ ) da Distribuição de Pareto Generalizada (GPD). Foram analisados os estimadores Bayesiano, o Método da Máxima Verosimilhança (MLE), de Pickands, Metodo dos Momentos (MOM) e o método de Momentos Ponderados pela Probabilidade (PWM). Os resultados demonstram que a …